政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/35155
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  全文筆數/總筆數 : 113303/144284 (79%)
造訪人次 : 50821721      線上人數 : 587
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/35155


    題名: 台灣50指數股票型基金上市對指數成分股票流動性之影響
    Taiwan Top 50 Tracker Fund and the Liquidity of Its Underlying Stocks
    作者: 劉惠娟
    LIU, HUI-JUAN
    貢獻者: 林信助
    lLIN, SHINN-JUH
    劉惠娟
    LIU, HUI-JUAN
    關鍵詞: basket securities
    ETFs
    liquidity effects
    Taiwan Top 50 Tracker Fund
    日期: 2005
    上傳時間: 2009-09-18 14:17:51 (UTC+8)
    摘要: In this paper, we test the hypothesis that the introduction of Taiwan Top 50 Tracker Fund (TTT) would impact the market liquidity of its underlying stocks. We address this issue by adopting several volume-based and price-based liquidity measures to present the multi-dimension of liquidity. Our empirical results show that after the introduction of TTT, the standardized trading volume decreases and the market becomes more volatile for the underlying stocks. Both the quoted spread and the effective spread widen in the post-introduction period. These findings suggest deterioration of market liquidity for the underlying stocks. We then further follow Lin et al. (1995) to decompose the effective spread to examine the changes in spread components. We find a significant increase in the adverse selection component in contrast to a slight decline in the order processing cost. Overall, we find evidence that the liquidity of the underlying stocks tends to deteriorate after the introduction of TTT primarily because there is an increase in the cost of informed trading. Our finding is consist with the prediction of Subrahmanyam (1991) where the migration of liquidity traders to the basket securities raises the portion of informed traders in the market of underlying stocks and tends to increase the adverse selection risk and reduce the market liquidity of the underlying stocks.
    參考文獻: Brockman, P. and D.Y. Chung (1999): “Bid-Ask Components in an Order-driven Environment,” Journal of Financial Research, 22, 227- 246.
    Clarke, J., and K., Shastri (2001): “Adverse Selection Costs and Closed-End Funds,” Working Paper, Financial Economics Network.
    Chang Chan and Sing-Yang Hu, (2001): “The Review of the Liquidity Measure,” Proceedings of the National Science Council, Republic of China, Part C: Humanities and Social Science, 11, 205-221.
    Cohen, K., W., Ness, H., Okuda, R., Schwartz, and D., Whitcomb (1976): “The Determinants of Stock Returns Volatility: An International Comparison,” Journal of Finance, 31, 733-740.
    Edward, F.R. (1988): “Does Futures Trading Increase Stock Market Volatilities?” Financial Analysts Journal, 44, 63-69.
    Fremault, A. (1991): “Stock Index Future and Index Arbitrage in A Rational Expectations Model,” Journal of Business, 64, 523-547.
    Gammill, J.F., and A.F. Perold (1989): “The Changing Character of Stock Market Liquidity.” Journal of Portfolio Managements, 15, 13-18.
    George, T.J., G. Kaul, and M. Nimalendran (1991): “Estimation of the Bid-Ask Spread and Its Components: A New Approach,” Review of Financial Studies 4, 623-656.
    Glosten, L.R. (1994): “Is the Electronic Open Limit Order Book Inevitable?” Journal of Finance, 49, 1127-1161.
    Glosten, L.R., and L.E. Harris (1988): “Estimating the Components of the Bid/Ask Spread,” Journal of Financial Economics, 21, 123-142.
    Gorton, G., and G. Pennacchi (1993): “Security Baskets and Indexlinked Securities,” Journal of Business, 66, 1-27.
    Harris, L. (1989): “S&P 500 Cash Stock Price Volatility.” Journal of Finance, 44, 1155-1175.
    Hedge, S., and J. McDermott (2004): “The Market Liquidity of DIAMONDS, Q’s, and Their Underlying Stocks,” Journal of Banking & Finance, 28, 1043-1067.
    Huang, R.D., and H.R. Stoll, (1997): “The Components of the Bid-Ask Spread: A General Approach,” Review of Financial Studies, 10,995-1034.
    Jegadeesh, N., and A. Subrahmanyam (1993): “Liquidity Effects of the Introduction of the S&P 500 Index Futures Contract on the Underlying Stock,” Journal of Business, 66, 171-187.
    Kumar R., A. Sarin, and K. Shastri (1998): “The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis.” Journal of Finance, 53, 717-733.
    Kumar, P., and D. Seppi (1994): “Information and Index Arbitrage,” Journal of Business, 67, 481-509.
    Kyle, A.S. (1985): “Continuous Auctions and Insider Trading,” Econometrica, 53, 1315-1335.
    Lesmond, D.A. (2005): “Liquidity of Emerging Markets,” Journal of Financial Economics, 77, 411-452.
    Lin, J.C., G. C. Sanger, and G.. G. Booth (1995): “Trade Size and Components of the Bid-Ask Spread,” Review of Financial Studies, 8, 1153-1183.
    Madhavan, A., M. Richardson, and M. Roomans (1997): “Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks,” Review of Financial Studies, 10, 1035-1064.
    Richie, N., and J. Madura (2005): “Impact of the QQQ on Liquidity, Pricing Efficiency, and Risk of the Underlying Stocks,” Conference Paper, Financial Management Association International.
    Small, K. (2004): “Basket Security Concentration and Adverse Selection,” Conference Paper, Southern Finance Association’s Annual Conference.
    Subrahmanyam, A. (1991): “A Theory of Trading in Stock Index Futures,” Review of Financial Studies, 4, 17-51.
    Stoll, H.R. (1989): “Inferring the Components of the Bid-Ask Spread: Theory and Empirical Test,” Journal of Finance, 44, 115-134.
    Van Ness, B., R. Van Ness, and R. Warr (2005): “The Impact of the Introduction of Index Securities on the Underlying Stocks-The Case of the Diamonds and the Dow 30,” Advances in Quantitative Analysis of Finance and Accounting, 2, 105-128.
    Winne R.D., and C. Majois (2004): “A Comparison of Alternative Spread Decomposition Models on Euronext Brussels,” Working paper, Social Science Research Network.
    Zivot E. (2005): “Analysis of High Frequency Financial Data: Models, Methods and Software. Part I: Descriptive Analysis of High Frequency Financial Data with S-PLUS.” Working Paper, Department of Economics, University of Washington.
    描述: 碩士
    國立政治大學
    國際經營與貿易研究所
    92351026
    94
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0923510261
    資料類型: thesis
    顯示於類別:[國際經營與貿易學系 ] 學位論文

    文件中的檔案:

    檔案 描述 大小格式瀏覽次數
    51026101.pdf43KbAdobe PDF2875檢視/開啟
    51026102.pdf42KbAdobe PDF2621檢視/開啟
    51026103.pdf11KbAdobe PDF2717檢視/開啟
    51026104.pdf13KbAdobe PDF2672檢視/開啟
    51026105.pdf24KbAdobe PDF21034檢視/開啟
    51026106.pdf19KbAdobe PDF21361檢視/開啟
    51026107.pdf54KbAdobe PDF2951檢視/開啟
    51026108.pdf55KbAdobe PDF2823檢視/開啟
    51026109.pdf15KbAdobe PDF2768檢視/開啟
    51026110.pdf14KbAdobe PDF2702檢視/開啟
    51026111.pdf17KbAdobe PDF2780檢視/開啟


    在政大典藏中所有的資料項目都受到原著作權保護.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - 回饋